Where did these files come from? How were they created? You use the SOURCE BROWSER to import footage from camera offloads, or Quicktime files...and there are some camera formats that are MXF. BUT, because you say these are DNxHD36 MXF...that would suggest they were files created by Resolve or similar...and created directly as Avid media.
In that case, you need to put them into the existing Avid file structure. On the media drive, locate the Avid Mediafiles folder...open that, then open MXF...and then create a new folder with a new number...like "10." Drop all of the files into that. Then open Avid....it will scan that folder automatically and create database files. Now, create a new bin...and then open that "10" folder and locate the .mdb file. Drag that file into the new bin and it will populate with all the clips.
You can create two types of Avid MXF files of which only one of them is native to the Avid MediaFile structure:
1. MXF OP1a is a single file wrapper where all V and A tracks are in the same file. It can have DNxHD, DNxHR or other codec contained within.
2. MXF OPAtom is a multi-file structure where each track is its own file. So a clip with one video and 4 audio tracks will be 5 separate files. Video codec again can be DNxHD, DNxHR or other. This is the file format that is native to Avid MediaFile folder structure.
Resolve and other systems can create either MXF file format, so you need to be aware of that when planning your workflow. While in your case, the codec created was DNxHD 36, it can still be either OP1a or OPatom. That is selectable as a delivery in Resolve.
AMA linking will support either OP1a or OPatom. The process here is to link and consolidate the media if you want it to be managed within Avid Media Folders. Depending on the format, it will either just copy or rewrap from OP1a to OPAtom.
If you know for sure the files are OPAtom, then they can drop right into the Avid MediaFiles numbered file structure.